806 lines
31 KiB
Python
806 lines
31 KiB
Python
# encoding: UTF-8
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"""
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该文件中包含的是交易平台的底层接口相关的部分，
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主要对API进行了一定程度的简化封装，方便开发。
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"""
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import os
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from vnltsmd import MdApi
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from vnltstd import *
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from vnltsl2 import *
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from eventEngine import *
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from lts_data_type import defineDict
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#----------------------------------------------------------------------
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def print_dict(d):
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"""打印API收到的字典，该函数主要用于开发时的debug"""
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print '-'*60
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for key, value in d.items():
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print key, ':', value
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########################################################################
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class DemoMdApi(MdApi):
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"""
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Demo中的行情API封装
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封装后所有数据自动推送到事件驱动引擎中，由其负责推送到各个监听该事件的回调函数上
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对用户暴露的主动函数包括:
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登陆 login
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订阅合约 subscribe
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"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine):
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"""
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API对象的初始化函数
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"""
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super(DemoMdApi, self).__init__()
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# 事件引擎，所有数据都推送到其中，再由事件引擎进行分发
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self.__eventEngine = eventEngine
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# 请求编号，由api负责管理
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self.__reqid = 0
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# 以下变量用于实现连接和重连后的自动登陆
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self.__userid = ''
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self.__password = ''
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self.__brokerid = ''
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# 以下集合用于重连后自动订阅之前已订阅的合约，使用集合为了防止重复
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self.__setSubscribed = set()
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# 初始化.con文件的保存目录为\mdconnection，注意这个目录必须已存在，否则会报错
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self.createFtdcMdApi(os.getcwd() + '\\mdconnection\\')
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#----------------------------------------------------------------------
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def onFrontConnected(self):
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"""服务器连接"""
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event = Event(type_=EVENT_LOG)
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event.dict_['log'] = u'行情服务器连接成功'
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self.__eventEngine.put(event)
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# 如果用户已经填入了用户名等等，则自动尝试连接
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if self.__userid:
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req = {}
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req['UserID'] = self.__userid
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req['Password'] = self.__password
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req['BrokerID'] = self.__brokerid
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self.__reqid = self.__reqid + 1
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self.reqUserLogin(req, self.__reqid)
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#----------------------------------------------------------------------
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def onFrontDisconnected(self, n):
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"""服务器断开"""
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event = Event(type_=EVENT_LOG)
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event.dict_['log'] = u'行情服务器连接断开'
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onHeartBeatWarning(self, n):
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"""心跳报警"""
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# 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略
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pass
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#----------------------------------------------------------------------
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def onRspError(self, error, n, last):
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"""错误回报"""
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event = Event(type_=EVENT_LOG)
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log = u'行情错误回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspUserLogin(self, data, error, n, last):
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"""登陆回报"""
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event = Event(type_=EVENT_LOG)
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if error['ErrorID'] == 0:
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log = u'行情服务器登陆成功'
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else:
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log = u'登陆回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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# 重连后自动订阅之前已经订阅过的合约
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if self.__setSubscribed:
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for instrument in self.__setSubscribed:
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self.subscribe(instrument[0], instrument[1])
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self.subscribe('510050', 'SSE')
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#----------------------------------------------------------------------
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def onRspUserLogout(self, data, error, n, last):
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"""登出回报"""
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event = Event(type_=EVENT_LOG)
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if error['ErrorID'] == 0:
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log = u'行情服务器登出成功'
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else:
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log = u'登出回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspSubMarketData(self, data, error, n, last):
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"""订阅合约回报"""
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# 通常不在乎订阅错误，选择忽略
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pass
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#----------------------------------------------------------------------
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def onRspUnSubMarketData(self, data, error, n, last):
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"""退订合约回报"""
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# 同上
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pass
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#----------------------------------------------------------------------
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def onRtnDepthMarketData(self, data):
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"""行情推送"""
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# 行情推送收到后，同时触发常规行情事件，以及特定合约行情事件，用于满足不同类型的监听
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# 常规行情事件
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event1 = Event(type_=EVENT_MARKETDATA)
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event1.dict_['data'] = data
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self.__eventEngine.put(event1)
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# 特定合约行情事件
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event2 = Event(type_=(EVENT_MARKETDATA_CONTRACT+data['InstrumentID']))
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event2.dict_['data'] = data
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self.__eventEngine.put(event2)
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#----------------------------------------------------------------------
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def login(self, address, userid, password, brokerid):
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"""连接服务器"""
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self.__userid = userid
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self.__password = password
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self.__brokerid = brokerid
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# 注册服务器地址
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self.registerFront(address)
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# 初始化连接，成功会调用onFrontConnected
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self.init()
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#----------------------------------------------------------------------
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def subscribe(self, instrumentid, exchangeid):
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"""订阅合约"""
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req = {}
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req['InstrumentID'] = instrumentid
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req['ExchangeID'] = exchangeid
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self.subscribeMarketData(req)
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instrument = (instrumentid, exchangeid)
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self.__setSubscribed.add(instrument)
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########################################################################
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class DemoTdApi(TdApi):
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"""
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Demo中的交易API封装
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主动函数包括：
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login 登陆
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getInstrument 查询合约信息
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getAccount 查询账号资金
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getInvestor 查询投资者
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getPosition 查询持仓
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sendOrder 发单
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cancelOrder 撤单
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"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine):
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"""API对象的初始化函数"""
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super(DemoTdApi, self).__init__()
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# 事件引擎，所有数据都推送到其中，再由事件引擎进行分发
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self.__eventEngine = eventEngine
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# 请求编号，由api负责管理
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self.__reqid = 0
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# 报单编号，由api负责管理
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self.__orderref = 0
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# 以下变量用于实现连接和重连后的自动登陆
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self.__userid = ''
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self.__password = ''
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self.__brokerid = ''
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# 合约字典（保存合约查询数据）
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self.__dictInstrument = {}
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# 初始化.con文件的保存目录为\tdconnection
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self.createFtdcTraderApi(os.getcwd() + '\\tdconnection\\')
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#----------------------------------------------------------------------
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def onFrontConnected(self):
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"""服务器连接"""
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event = Event(type_=EVENT_LOG)
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event.dict_['log'] = u'交易服务器连接成功'
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self.__eventEngine.put(event)
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# 如果用户已经填入了用户名等等，则自动尝试连接
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if self.__userid:
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req = {}
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req['UserID'] = self.__userid
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req['Password'] = self.__password
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req['BrokerID'] = self.__brokerid
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self.__reqid = self.__reqid + 1
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self.reqUserLogin(req, self.__reqid)
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#----------------------------------------------------------------------
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def onFrontDisconnected(self, n):
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"""服务器断开"""
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event = Event(type_=EVENT_LOG)
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event.dict_['log'] = u'交易服务器连接断开'
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onHeartBeatWarning(self, n):
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"""心跳报警"""
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pass
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#----------------------------------------------------------------------
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def onRspError(self, error, n, last):
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"""错误回报"""
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event = Event(type_=EVENT_LOG)
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log = u'交易错误回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspUserLogin(self, data, error, n, last):
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"""登陆回报"""
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event = Event(type_=EVENT_LOG)
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if error['ErrorID'] == 0:
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log = u'交易服务器登陆成功'
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else:
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log = u'登陆回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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event2 = Event(type_=EVENT_TDLOGIN)
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self.__eventEngine.put(event2)
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#----------------------------------------------------------------------
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def onRspUserLogout(self, data, error, n, last):
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"""登出回报"""
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event = Event(type_=EVENT_LOG)
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if error['ErrorID'] == 0:
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log = u'交易服务器登出成功'
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else:
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log = u'登出回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspOrderInsert(self, data, error, n, last):
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"""发单错误（柜台）"""
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event = Event(type_=EVENT_LOG)
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log = u' 发单错误回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspOrderAction(self, data, error, n, last):
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"""撤单错误（柜台）"""
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event = Event(type_=EVENT_LOG)
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log = u'撤单错误回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspUserPasswordUpdate(self, data, error, n, last):
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"""用户密码更新错误"""
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pass
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#----------------------------------------------------------------------
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def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
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"""交易账户密码更新错误"""
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pass
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#----------------------------------------------------------------------
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def onRspQryExchange(self, data, error, n, last):
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"""交易所查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryInstrument(self, data, error, n, last):
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"""
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合约查询回报
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由于该回报的推送速度极快，因此不适合全部存入队列中处理，
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选择先储存在一个本地字典中，全部收集完毕后再推送到队列中
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（由于耗时过长目前使用其他进程读取）
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"""
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if error['ErrorID'] == 0:
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event = Event(type_=EVENT_INSTRUMENT)
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event.dict_['data'] = data
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event.dict_['last'] = last
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self.__eventEngine.put(event)
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else:
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event = Event(type_=EVENT_LOG)
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log = u'合约投资者回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspQryInvestor(self, data, error, n, last):
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"""投资者查询回报"""
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if error['ErrorID'] == 0:
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event = Event(type_=EVENT_INVESTOR)
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event.dict_['data'] = data
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self.__eventEngine.put(event)
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else:
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event = Event(type_=EVENT_LOG)
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log = u'合约投资者回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspQryTradingCode(self, data, error, n, last):
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"""交易编码查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryTradingAccount(self, data, error, n, last):
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"""资金账户查询回报"""
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if error['ErrorID'] == 0:
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event = Event(type_=EVENT_ACCOUNT)
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event.dict_['data'] = data
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self.__eventEngine.put(event)
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else:
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event = Event(type_=EVENT_LOG)
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log = u'账户查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRspQryDepthMarketData(self, data, error, n, last):
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"""行情查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryBondInterest(self, data, error, n, last):
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"""债券利息查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryMarketRationInfo(self, data, error, n, last):
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"""市值配售查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryInstrumentCommissionRate(self, data, error, n, last):
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"""合约手续费查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryETFInstrument(self, data, error, n, last):
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"""ETF基金查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryETFBasket(self, data, error, n, last):
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"""ETF股票篮查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryOFInstrument(self, data, error, n, last):
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"""OF合约查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQrySFInstrument(self, data, error, n, last):
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"""SF合约查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryOrder(self, data, error, n, last):
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"""报单查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryTrade(self, data, error, n, last):
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"""成交查询回报"""
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pass
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#----------------------------------------------------------------------
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def onRspQryInvestorPosition(self, data, error, n, last):
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"""持仓查询回报"""
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if error['ErrorID'] == 0:
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event = Event(type_=EVENT_POSITION)
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event.dict_['data'] = data
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self.__eventEngine.put(event)
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else:
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event = Event(type_=EVENT_LOG)
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log = u'持仓查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onRtnOrder(self, data):
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"""报单回报"""
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# 更新最大报单编号
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newref = data['OrderRef']
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self.__orderref = max(self.__orderref, int(newref))
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# 常规报单事件
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event1 = Event(type_=EVENT_ORDER)
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event1.dict_['data'] = data
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self.__eventEngine.put(event1)
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# 特定合约行情事件
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event2 = Event(type_=(EVENT_ORDER_ORDERREF+data['OrderRef']))
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event2.dict_['data'] = data
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self.__eventEngine.put(event2)
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#----------------------------------------------------------------------
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def onRtnTrade(self, data):
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"""成交回报"""
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# 常规成交事件
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event1 = Event(type_=EVENT_TRADE)
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event1.dict_['data'] = data
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self.__eventEngine.put(event1)
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# 特定合约成交事件
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event2 = Event(type_=(EVENT_TRADE_CONTRACT+data['InstrumentID']))
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event2.dict_['data'] = data
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self.__eventEngine.put(event2)
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#----------------------------------------------------------------------
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def onErrRtnOrderInsert(self, data, error):
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"""发单错误回报（交易所）"""
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event = Event(type_=EVENT_LOG)
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log = u'发单错误回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
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event.dict_['log'] = log
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self.__eventEngine.put(event)
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#----------------------------------------------------------------------
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def onErrRtnOrderAction(self, data, error):
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"""撤单错误回报（交易所）"""
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event = Event(type_=EVENT_LOG)
|
||
log = u'撤单错误回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
|
||
event.dict_['log'] = log
|
||
self.__eventEngine.put(event)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspFundOutByLiber(self, data, error, n, last):
|
||
"""LTS发起出金应答"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFundOutByLiber(self, data):
|
||
"""LTS发起出金通知"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnFundOutByLiber(self, data, error):
|
||
"""LTS发起出金错误回报"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFundInByBank(self, data):
|
||
"""银行发起入金通知"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryFundTransferSerial(self, data, error, n, last):
|
||
"""资金转账查询应答"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspFundInterTransfer(self, data, error, n, last):
|
||
"""资金内转应答"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspQryFundInterTransferSerial(self, data, error, n, last):
|
||
"""资金内转流水查询应答"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnFundInterTransferSerial(self, data):
|
||
"""资金内转流水通知"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onErrRtnFundInterTransfer(self, data, error):
|
||
"""资金内转错误回报"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def login(self, address, userid, password, brokerid):
|
||
"""连接服务器"""
|
||
self.__userid = userid
|
||
self.__password = password
|
||
self.__brokerid = brokerid
|
||
|
||
# 数据重传模式设为从本日开始
|
||
self.subscribePrivateTopic(0)
|
||
self.subscribePublicTopic(0)
|
||
|
||
# 注册服务器地址
|
||
self.registerFront(address)
|
||
|
||
# 初始化连接，成功会调用onFrontConnected
|
||
self.init()
|
||
|
||
#----------------------------------------------------------------------
|
||
def getInstrument(self):
|
||
"""查询合约"""
|
||
self.__reqid = self.__reqid + 1
|
||
self.reqQryInstrument({}, self.__reqid)
|
||
|
||
#----------------------------------------------------------------------
|
||
def getAccount(self):
|
||
"""查询账户"""
|
||
self.__reqid = self.__reqid + 1
|
||
self.reqQryTradingAccount({}, self.__reqid)
|
||
|
||
#----------------------------------------------------------------------
|
||
def getInvestor(self):
|
||
"""查询投资者"""
|
||
self.__reqid = self.__reqid + 1
|
||
self.reqQryInvestor({}, self.__reqid)
|
||
|
||
#----------------------------------------------------------------------
|
||
def getPosition(self):
|
||
"""查询持仓"""
|
||
self.__reqid = self.__reqid + 1
|
||
req = {}
|
||
req['BrokerID'] = self.__brokerid
|
||
req['InvestorID'] = self.__userid
|
||
self.reqQryInvestorPosition(req, self.__reqid)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
|
||
"""发单"""
|
||
self.__reqid = self.__reqid + 1
|
||
req = {}
|
||
|
||
req['InstrumentID'] = instrumentid
|
||
req['ExchangeID'] = exchangeid
|
||
req['OrderPriceType'] = pricetype
|
||
req['LimitPrice'] = price
|
||
req['VolumeTotalOriginal'] = volume
|
||
req['Direction'] = direction
|
||
req['CombOffsetFlag'] = offset
|
||
|
||
self.__orderref = self.__orderref + 1
|
||
req['OrderRef'] = str(self.__orderref)
|
||
|
||
req['InvestorID'] = self.__userid
|
||
req['UserID'] = self.__userid
|
||
req['BrokerID'] = self.__brokerid
|
||
req['CombHedgeFlag'] = defineDict['SECURITY_FTDC_HF_Speculation'] # 投机单
|
||
req['ContingentCondition'] = defineDict['SECURITY_FTDC_CC_Immediately'] # 立即发单
|
||
req['ForceCloseReason'] = defineDict['SECURITY_FTDC_FCC_NotForceClose'] # 非强平
|
||
req['IsAutoSuspend'] = 0 # 非自动挂起
|
||
req['UserForceClose'] = 0 # 非强平
|
||
req['TimeCondition'] = defineDict['SECURITY_FTDC_TC_GFD'] # 今日有效
|
||
req['VolumeCondition'] = defineDict['SECURITY_FTDC_VC_AV'] # 任意成交量
|
||
req['MinVolume'] = 1 # 最小成交量为1
|
||
|
||
self.reqOrderInsert(req, self.__reqid)
|
||
|
||
# 返回订单号，便于某些算法进行动态管理
|
||
return self.__orderref
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, instrumentid, exchangeid, orderref, frontid, sessionid):
|
||
"""撤单"""
|
||
self.__reqid = self.__reqid + 1
|
||
req = {}
|
||
|
||
req['InstrumentID'] = instrumentid
|
||
req['ExchangeID'] = exchangeid
|
||
req['OrderRef'] = orderref
|
||
req['FrontID'] = frontid
|
||
req['SessionID'] = sessionid
|
||
|
||
req['ActionFlag'] = defineDict['SECURITY_FTDC_AF_Delete']
|
||
req['BrokerID'] = self.__brokerid
|
||
req['InvestorID'] = self.__userid
|
||
|
||
self.reqOrderAction(req, self.__reqid)
|
||
|
||
|
||
|
||
########################################################################
|
||
class DemoL2Api(L2MdApi):
|
||
"""
|
||
L2行情API
|
||
"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, eventEngine):
|
||
"""API对象的初始化函数"""
|
||
super(DemoL2Api, self).__init__()
|
||
|
||
# 事件引擎，所有数据都推送到其中，再由事件引擎进行分发
|
||
self.__eventEngine = eventEngine
|
||
|
||
# 请求编号，由api负责管理
|
||
self.__reqid = 0
|
||
|
||
# 以下变量用于实现连接和重连后的自动登陆
|
||
self.__userid = ''
|
||
self.__password = ''
|
||
self.__brokerid = ''
|
||
|
||
# 以下集合用于重连后自动订阅之前已订阅的合约，使用集合为了防止重复
|
||
self.__setSubscribed = set()
|
||
|
||
# 初始化.con文件的保存目录为/mdconnection
|
||
self.createFtdcMdApi(os.getcwd() + '\\l2connection\\')
|
||
|
||
#----------------------------------------------------------------------
|
||
def onFrontConnected(self):
|
||
"""服务器连接"""
|
||
event = Event(type_=EVENT_LOG)
|
||
event.dict_['log'] = u'L2行情服务器连接成功'
|
||
self.__eventEngine.put(event)
|
||
|
||
# 如果用户已经填入了用户名等等，则自动尝试连接
|
||
if self.__userid:
|
||
req = {}
|
||
req['UserID'] = self.__userid
|
||
req['Password'] = self.__password
|
||
req['BrokerID'] = self.__brokerid
|
||
self.__reqid = self.__reqid + 1
|
||
self.reqUserLogin(req, self.__reqid)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onFrontDisconnected(self, n):
|
||
"""服务器断开"""
|
||
event = Event(type_=EVENT_LOG)
|
||
event.dict_['log'] = u'L2行情服务器连接断开'
|
||
self.__eventEngine.put(event)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onHeartBeatWarning(self, n):
|
||
"""心跳报警"""
|
||
# 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspError(self, error, n, last):
|
||
"""错误回报"""
|
||
event = Event(type_=EVENT_LOG)
|
||
log = u'L2行情错误回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
|
||
event.dict_['log'] = log
|
||
self.__eventEngine.put(event)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUserLogin(self, data, error, n, last):
|
||
"""登陆回报"""
|
||
event = Event(type_=EVENT_LOG)
|
||
|
||
if error['ErrorID'] == 0:
|
||
log = u'L2行情服务器登陆成功'
|
||
else:
|
||
log = u'登陆回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
|
||
|
||
event.dict_['log'] = log
|
||
self.__eventEngine.put(event)
|
||
|
||
# 重连后自动订阅之前已经订阅过的合约
|
||
if self.__setSubscribed:
|
||
for instrument in self.__setSubscribed:
|
||
self.subscribe(instrument[0], instrument[1])
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUserLogout(self, data, error, n, last):
|
||
"""登出回报"""
|
||
event = Event(type_=EVENT_LOG)
|
||
|
||
if error['ErrorID'] == 0:
|
||
log = u'L2行情服务器登出成功'
|
||
else:
|
||
log = u'登出回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
|
||
|
||
event.dict_['log'] = log
|
||
self.__eventEngine.put(event)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspSubL2MarketData(self, data, error, n, last):
|
||
"""订阅L2合约回报"""
|
||
# 通常不在乎订阅错误，选择忽略
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUnSubL2MarketData(self, data, error, n, last):
|
||
"""退订L2合约回报"""
|
||
# 同上
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspSubL2Index(self, data, error, n, last):
|
||
"""订阅L2指数回报"""
|
||
# 通常不在乎订阅错误，选择忽略
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUnSubL2Index(self, data, error, n, last):
|
||
"""退订L2指数回报"""
|
||
# 同上
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnL2MarketData(self, data):
|
||
"""L2行情推送"""
|
||
# 常规行情事件
|
||
event1 = Event(type_=EVENT_MARKETDATA)
|
||
event1.dict_['data'] = data
|
||
self.__eventEngine.put(event1)
|
||
|
||
# 特定合约行情事件
|
||
event2 = Event(type_=(EVENT_MARKETDATA_CONTRACT+data['InstrumentID']))
|
||
event2.dict_['data'] = data
|
||
self.__eventEngine.put(event2)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnL2Index(self, data):
|
||
"""L2指数行情推送"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnL2Order(self, data):
|
||
"""L2订单推送"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRtnL2Trade(self, data):
|
||
"""L2成交推送"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspSubL2OrderAndTrade(self, error, n, last):
|
||
"""订阅L2订单、成交回报"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onRspUnSubL2OrderAndTrade(self, error, n, last):
|
||
"""退订L2订单、成交回报"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def onNtfCheckOrderList(self, instrumentID, functionID):
|
||
"""通知清理SSE买卖一队列中数量为0的报单"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def login(self, address, userid, password, brokerid):
|
||
"""连接服务器"""
|
||
self.__userid = userid
|
||
self.__password = password
|
||
self.__brokerid = brokerid
|
||
|
||
# 注册服务器地址
|
||
self.registerFront(address)
|
||
|
||
# 初始化连接，成功会调用onFrontConnected
|
||
self.init()
|
||
|
||
#----------------------------------------------------------------------
|
||
def subscribe(self, instrumentid, exchangeid):
|
||
"""订阅合约"""
|
||
req = {}
|
||
req['InstrumentID'] = instrumentid
|
||
req['ExchangeID'] = exchangeid
|
||
self.subscribeL2MarketData(req)
|
||
|
||
instrument = (instrumentid, exchangeid)
|
||
self.__setSubscribed.add(instrument)
|
||
|